Search Results - subject:"Backward stochastic partial differential equations"

Solvability of forward–backward stochastic partial differential equations

Yin, Hong - In: Stochastic Processes and their Applications 124 (2014) 8, pp. 2583-2604

In this paper we study the solvability of a class of fully-coupled forward–backward stochastic partial differential … equations (FBSPDEs). These FBSPDEs cannot be put into the framework of stochastic evolution equations in general, and the usual …

Persistent link: https://www.econbiz.de/10010777091

Semi-linear degenerate backward stochastic partial differential equations and associated forward–backward stochastic differential equations

Du, Kai; Zhang, Qi - In: Stochastic Processes and their Applications 123 (2013) 5, pp. 1616-1637

In this paper, we consider the Cauchy problem of semi-linear degenerate backward stochastic partial differential … equations (BSPDEs) under general settings without technical assumptions on the coefficients. For the solution of semi …

Persistent link: https://www.econbiz.de/10010875090

On non-Markovian forward–backward SDEs and backward stochastic PDEs

Ma, Jin; Yin, Hong; Zhang, Jianfeng - In: Stochastic Processes and their Applications 122 (2012) 12, pp. 3980-4004

In this paper, we establish an equivalence relationship between the wellposedness of forward–backward SDEs (FBSDEs) with random coefficients and that of backward stochastic PDEs (BSPDEs). Using the notion of the “decoupling random field”, originally observed in the well-known Four Step...

Persistent link: https://www.econbiz.de/10011065012